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Correct answer is Bffice ffice" />
A is incorrect. See the correct calculation in B below.
B is correct.
Probability of Default = 1 ? [(1 + 1-yr T-bill rate) / (1 + 1-yr corp. bond rate)] = 1 ? [(1 + 1-yr T-bill rate) / (1 + 0.135)]
Solving the above, 1-year T-bill rate = 9.005%.
C is incorrect. See the correct calculation in B above.
D is incorrect. See the correct calculation in B above.
Reference: Saunders and Cornett, Chapter 11, Credit Risk: Individual Loan Risk. | 
发表于 2009-6-13 11:02
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